3rd IRCEB
3rd International Research Conference on Economics and Business
Corresponding Author:
David Kaluge
davidk@ub.ac.id
Received: 27 December 2019
Accepted: 15 April 2020
Published: 23 April 2020
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How to cite this article: David Kaluge, (2020), “How We Predict the Stability of Financial Sector: The Conditional Value at Risk Technique Approach”
in 3rd International Research Conference on Economics and Business, KnE Social Sciences, pages 328–345. DOI 10.18502/kss.v4i7.6863
Volume 2020
Conference Paper
How We Predict the Stability of Financial
Sector: The Conditional Value at Risk
Technique Approach
David Kaluge
Brawijaya Univeristy, Indonesia
Abstract
This study aims to identify the level of systemic risk of each bank and the financial
linkages between banks in Indonesia. In this study, researcher uses 41 banks that have
been actively traded on the Indonesia Stock Exchange in the period 2013-2018. The
data of stock capitalization of banks are used as prices in a portfolio of banking system.
The method used in this study is the CVaR (Conditional Value at Risk) method which
was introduced by Adrian and Brunerrmeir in 2008. The equilibrium of the system
is assumed reached at optimum portfolio of the system. At this situation each bank
contribution to systemic risk is analyzed, as well as its impact onto it when there is a
change in capitalization of a certain bank. The result shows the impact of bank onto
systemic risk is not always follow its size in contribution the systemic risk.
Due to covariance’s among banks are some positive and others are negative, some
banks have negative contribution to systemic risk while others’ are positive. There are
4 banks that have different behavior. These banks have negative contribution to the
systemic risk. These banks are BMRI, PNBN, PNBS and NAGA. The negative impact
to systemic risk is dominated by BMRI as much as -0.17%, and by PNBN as much as
-0.04%. There are 2 major banks that have contribution to systemic risk; BBCA (3,01%
or Rp 59,1 trillion) and BBRI (0,54% Rp 10,62 trillion). However their impact on systemic
risk are different. The parameters of impact on systemic for BBCA and BBRI are 14,99%
and 52,94% respectively. Thus the stability of the system is more sensitive to the
volatility of Bank Rakyat Indonesia (BBRI) than of Bank Central Asia (BBCA).
Keywords: Systemic Risk, Financial Linkage, Value at Risk, Conditional Value at Risk,
covariance banking
1. Background
The rapid development of information and technology has been penetrating into the
economic world caused all economic sectors, and economic institutions (Anagnostis and
Alexios 2014; Gaftea 2014). More over it makes all economic actors be more connected
and able to easily interact each other. This is often referred to as integrated system. The
integration of this system has a devastating implications compared to broken or partial
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systems. In a partial system where one section is separated from the other, if there is
an incident in a certain part of the system it impacts only on that part only and does not
cause the collapse of the system. Whereas if the system is integrated, then the damage
one part will be penetrated and impact on the system as a whole can tear down the
system. (Gravelle and Li 2013, Iachini and Nobili 2016)
The incident in Indonesia several years ago about the Century bank which caused
a long debate about whether the bank has a systemic impact or not shows at least
two important things to be examined. Firstly, that the systemic impact should not be
underestimated. It should be handled seriously even with costly price. Secondly, the
systemic impact measurement is still weak, causing prolonged polemic (Zulverdi, Gunadi
et al. 2007, Agusman, Cullen et al. 2014, Heykal, Siagian et al. 2014). With an increasingly
integrated or inherent part of the system with the other, the systemic impact can be a
very seriously risk (Landier, Sraer et al., Gil-Alana, Yaya et al. 2015, Milcheva and Zhu
2016).
Interestingly, when Bank Mandiri (one of the Indonesia prominent bank), in August
2019, had some problem of confused database problem, it seems that there is no much
impact to financial or banking system stability. Therefore, it needs to be sought the form
of systemic impact caused by of each bank risk.

2. Theory
2.1. Risk

The state of risk is defined as the probability to get loss. The higher the probability is
the higher the risk. A person who wants to be a client of a bank firstly identifies whether
a bank is riskier or not. Clients prefer a lowly risky bank. If a bank has a good process
in screening those who want to be clients, the bank would get good quality of clients,
unless it will get the low. The lower the quality of clients tend to be the higher the risk
of the individual clients (Dong and Guo 2011; Azmat, Skully et al. 2015). Eventually, for
whole bank the risk tends to be higher. Individual client’s risk in some certain condition
could strengthen the risk of the bank, because good clients could be infected mentally
by the bad ones. Thus, starting from the problem of adverse selection could drive the
case of moral hazard. This is the risk transformation from individual risk to the firm level
risk and finally to systemic risk.

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2.2. Banking risk

Banking risk is not just risk from individual behavior, but also from many other aspects
such as market risk, liquidity risk, credit risk, operational risk and many other types of
risk. All factors causing risk are divided into internal factors and the external ones. The
external could be from domestic such as interaction among domestic banks or from
other economies risks. The internal factors could be explained from some arguments
such as systemic risk. While the external risk factors that could impact on domestic
banking situation has been discussed from several views with different theoretical
arguments such as Spillover effect arguments or Contagion effect arguments.

2.3. Systemic risk

There are three concepts that are often used in bank systemic risk, namely: 1. ”Big” shock
or macroshock that creates a large and simultaneous adverse effect on the domestic
economy or system(Giglio, Kelly et al. 2016). In this case, an event that affects the entire
banking system, financial or economic, not just one or several institutions (Zakir and
Malik 2013). 2. Systemic risk is the probability of cumulative losses resulting from an
event that is driven from a series of successive losses along the chain reaction of an
institution or market of a system (Markose, Giansante et al. 2012). That is, systemic risk
is the risk of a chain of reactions between the fall of interconnected dominoes. 3. On
spillover from external shocks that do not involve direct causal relationships and have
weak and indirect relationships (Angelini and Farina 2012). This emphasizes the similarity
in third party risk exposure between the units involved. When a unit experiences adverse
effects from a shock, it will cause uncertainty on other related units that also have the
potential to experience these effects.
It is acknowledged that there is no general acceptable definition of systemic risk
(Martínez-Jaramillo, Pérez et al. 2010). A systemic risk is expressed as a possibility if an
institution experiences distress, this can trigger other institutions in the banking industry
to become distressed so that it can cause a bank run and the collapse of the banking
financial system (Huang, Zhou et al. 2009; Bluhm and Krahnen 2014; Ellis, Haldane et al.
2014; Capponi and Chen 2015).
In a broad sense, systemic risk is also defined as macroeconomic shocks that have
a negative impact on the overall financial system (Tomuleasa 2015; Giglio, Kelly et al.
2016).

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Martínez-Jaramillo (2010) claims that it is generally acknowledged that systemic risk

is the risk of the occurrence of an event that threatens the well functioning of the
system of interest (financial, payments, banking, etc.). Martínez-Jaramillo (2010) analysis
the systemic risk into two main components: a random shock that weakens one or
more financial institutions and a transmission mechanism which transmits and possibly
exacerbates such negative effects to the rest of the system. In such analysis, the
contagion effect could be identified. In order to evaluate if the system tend to more
or less riskiness, the Conditional Value at Risk could be applied (Martínez-Jaramillo,
Pérez et al. 2010)
According to Capponi (2015)the sensitivity of systemic risk varies in interbank liabili-
ties as well as to their correlation structure. In assessing the systemic risk, it should be
paid attention to assymetric information and also the size of bank. Ignoring asymmetries
that feature tail-interdependences may lead to a severe underestimation of systemic
risk. Moreover, the downward bias in systemic-risk measuring from abandoning this
asymmetric pattern increases with the size of bank (López-Espinosa, Moreno et al.
2015).

2.4. Systemic risk

There are three concepts that are often used in bank systemic risk, namely: 1. ”Big”
shock or macro-shock that creates a large and simultaneous adverse effect on the
domestic economy or system(Giglio, Kelly et al. 2016). In this case, an event that affects
the entire banking system, financial or economic, not just one or several institutions
(Zakir and Malik 2013). 2. Systemic risk is the probability of cumulative losses resulting
from an event that is driven from a series of successive losses along the chain reaction
of an institution or market of a system (Markose, Giansante et al. 2012). Thus, systemic
risk is the risk of a chain of reactions between the fall of interconnected dominoes. 3. On
spillover from external shocks that do not involve direct causal relationships and have
weak and indirect relationships (Angelini and Farina 2012). This emphasizes the similarity
in third party risk exposure between the units involved. When a unit experiences adverse
effects from a shock, it will cause uncertainty on other related units that also have the
potential to experience these effects.
It is acknowledged that there is no general acceptable definition of systemic risk
(Martínez-Jaramillo, Pérez et al. 2010). A systemic risk is expressed as a possibility if an
institution experiences distress, this can trigger other institutions in the banking industry
to become distressed so that it can cause a bank run and the collapse of the banking

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financial system (Huang, Zhou et al. 2009; Bluhm and Krahnen 2014; Ellis, Haldane et al.
2014; Capponi and Chen 2015).
In a broad sense, systemic risk is also defined as macroeconomic shocks that have
a negative impact on the overall financial system (Tomuleasa 2015; Giglio, Kelly et al.
2016). Martínez-Jaramillo (2010) claims that it is generally acknowledged that systemic
risk is the risk of the occurrence of an event that threatens the well functioning of the
system of interest (financial, payments, banking, etc.). Martínez-Jaramillo (2010) in such
analysis, the contagion effect could be identified. In order to evaluate if the system
tend to more or less riskiness, the Conditional Value at Risk could be applied (Martínez-
Jaramillo, Pérez et al. 2010)
According to Capponi (2015) the sensitivity of systemic risk varies in interbank liabil-
ities as well as to their correlation structure. In assessing the systemic risk, it should be
paid attention to asymmetric information and also the size of bank. Ignoring asymmetries
that feature tail-interdependences may lead to a severe underestimation of systemic
risk. Moreover, the downward bias in systemic-risk measuring from abandoning this
asymmetric pattern increases with the size of bank (López-Espinosa, Moreno et al.
2015). In order to measure systemic risk, a model should be developed and built to
be able to measure the potential impact of a risk. Some examples of systemic risk
measurement methods include: conditional value at risk (CVaR), Marginal Expected
Shortfall (MES)(Martínez-Jaramillo, Pérez et al. 2010).

3. Methods

In this study, the systemic risk measurement used is Conditional Value at Risk (CVaR),
because it is easier to use and the data needed to use the CVaR method was easier to
obtain.

4. Model

Suppose financial system is seen as a portfolio containing many banks (assets). Consider
the portfolio consisting of N assets in respective quantities n1 ,..., n𝑁 . If the price of the
j th assets is termed P𝑗 , the price P𝑃 of the portfolio will of course be given by:

𝑁
𝑃𝑝 = 𝑛𝑗 𝑃𝑗 (1)
∑
𝑗=1

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The variation of price will follow the same relation:

𝑁
Δ𝑃𝑝 = 𝑛𝑗 Δ𝑃𝑗 (1a)
∑
𝑗=1

Once the distribution of the various ΔP𝑗 elements is known, it is not easy to determinethe
distribution of the ΔP𝑃 elements: the probability law of a sum of random variableswill
only be easy to determine if these variables are independent, and this is clearly notthe
case here. It is, however, possible to find the expectation and variance for ΔP𝑃 onthe
basis of expectation, variance and covariance in the various ΔP𝑗 elements:
𝑁
𝐸Δ𝑃𝑝 = 𝑛𝑗 𝐸Δ𝑃𝑗 (1b)
∑
𝑗=1

𝑁 𝑁
𝑉 𝑎𝑟(Δ𝑃𝑝 ) = 𝑛𝑖 𝑛𝑗 𝐶𝑜𝑣 (Δ𝑃𝑖 , Δ𝑃𝑗 ) (2)
∑∑
𝑖=1 𝑗=1

Under the hypothesis of normality, the VaR of the portfolio can thus be calculated onthe
basis of these two elements using the formula:

𝑉 𝑎𝑅𝑞 = 𝐸 (Δ𝑃𝑝 ) − 𝑍𝑞 .𝜎 (Δ𝑃𝑗 ) (2a)

where 𝜎stands for standard deviation.

5. Components of the VaR of a portfolio

In this and the following paragraph, we will be working under the hypothesis of normality
and with the version of VaR that measures the risk in relation to the average variation
in value:

𝑉 𝑎𝑅∗ 𝑞 = 𝑉 𝑎𝑅 − 𝐸 (Δ𝑃 ) = −𝑍𝑞 .𝜎 (Δ𝑃 ) (2b)

5.1. Individual VaR

The individual VaR of the security (j) within the portfolio is the VaR of all of these
securities; if their number is nj, we will have:

𝑉 𝑎𝑅∗ 𝑗 = −𝑍𝑞 .𝜎 (Δ (𝑛𝑗 𝑃𝑗 )) (3)

5.2. Marginal VaR

The marginal VaR measures the alteration to the VaR of a portfolio following a minor
variation in its composition. More specifically, it relates to the variation rate VaR𝑃 * =-pP

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· z𝑞 · σ𝑃 , explained by the variation in σ𝑃 brought about by an infinitesimal increase in

the proportion (Xj ) of the security (j) while the other proportions remain constant. It is
therefore equal to:

Δ𝑉 𝑎𝑅∗ 𝑗 = −𝑃𝑝 .𝑍𝑞 .𝜎𝑃 𝑋𝑗′ (3a)

𝜎𝑗𝑃
Δ𝑉 𝑎𝑅∗ 𝑗 = −𝑃𝑝 .𝑍𝑞 . (3b)
𝜎𝑃

Δ𝑉 𝑎𝑅∗ 𝑗 = 𝑉 𝑎𝑅∗ 𝑝 𝛽𝑗𝑝 (3c)

As in parallel of regression parameters, essentially, it is a conditional value at risk of

bank i given bank j.
Thus, it can be written as:
CVaR is the expected value of X given A or is written as 𝐶𝑉 𝑎𝑅𝑞 = 𝐸(𝑋 |𝐴) where A
denotes set X ≤ q or X ≥ q for negatives and positive tails respectively.
𝑖|𝑗
In individual asset, CVaR measure, denoted by 𝐶𝑉 𝑎𝑅𝑞 is 𝑉 𝑎𝑅𝑞 of bank i conditional
on bank j at its level of 𝑉 𝑎𝑅𝑞 or

𝐶𝑉 𝑎𝑅𝑞 𝑖|𝑗 = 𝐸(𝑉 𝑎𝑅𝑞 𝑖 |𝑉 𝑎𝑅𝑞 𝑗 ) .

It could be written as

𝑖|𝑗 𝑗
Pr (𝑅𝑖,𝑡 ≤ 𝐶𝑉 𝑎𝑅𝑞 |𝑅𝑗,𝑡 = 𝑉 𝑎𝑅𝑞 ) = 𝑞

where R𝑖,𝑡 and R𝑗,𝑡 can be any default risk measure for bank i and j at time t respectively
{Wong, 2011 #50461}.

5.3. Components of VaR (CmVaR)

We have seen that it is not possible to split the VaR on the basis of individual VaR
values, as these values do not ‘benefit’ from the diversification effect. The solution is
to define the VaR component that relates to the security (j) through the marginal VaR
affected by a weight equal to the X𝑗 proportion of (j) within the portfolio:

𝐶𝑚𝑉 𝑎𝑅𝑗 ∗ = 𝑋𝑗 ⋅ Δ𝑉 𝑎𝑅𝑗 ∗ (4)

What we have, in fact, is:

𝑁 𝑁 𝑁
𝐶𝑚𝑉 𝑎𝑅𝑗 ∗ = 𝑋𝑗 ⋅ Δ𝑉 𝑎𝑅𝑗 ∗ = 𝑉 𝑎𝑅∗ 𝑝 . 𝑋𝑗 𝛽𝑗𝑝 (4a)
∑ ∑ ∑
𝑗=1 𝑗=1 𝑗=1

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5.4. Conditional Value at Risk

For a portfolio, Conditional Value-at-Risk (CVaR) in the continuous case is expressed as

follows. Let X be a continuous random variable representing loss. Given a parameter 0 <
q < 1, the q-CVaR of X is 𝐶𝑉 𝑎𝑅𝑞 (𝑋) = 𝐸(𝑋 |𝑋 ≥ 𝑉 𝑎𝑅𝑞 (𝑋)) . Alternative names for CVaR
found in the literature are Average Value-at-Risk, Expected Shortfall, or Tail Conditional
Expectation. CVaR is defined as the expected shortfall, is a risk assessment measure
that quantifies the amount of tail risk an investment portfolio has. CVaR is derived
by taking a weighted average of the “extreme” losses in the tail of the distribution of
possible returns, beyond the value at risk (VaR) cutoff point. Conditional value at risk is
used in portfolio optimization for effective risk management.
Fundamental properties of Conditional Value-at-Risk (CVaR), as a measure of risk
with significant advantages over Value- at- Risk, are derived for loss distributions in
finance that can involve discreetness. Such distributions are of particular importance
in applications because of the prevalence of models based on scenarios and finite
sampling. Conditional Value- at- Risk is able to quantify dangers beyond Value-at-
Risk, and moreover it is coherent. It provides optimization shortcuts which, through
linear programming techniques, make practical many large- scale calculations that could
otherwise be out of reach. These calculations can be obtained with numerical efficiency
and stability.
For continuous loss distributions, the CVaR at a given confidence level is the expected
loss given that the loss is greater than the VaR at that level, or for that matter, the
expected loss given that the loss is greater than or equal to the VaR.
Let f(x, y) be a loss function depending upon a decision vector x = (x1,…, xn) and a
random vector y = (y1,…, ym)
VaR is α percentile of loss distribution (a smallest value such that probability that
losses exceed or equal to this value is greater or equal to α)
CVaR diversified in three measurements; CVaR+ (”upper CVaR”) is expected losses
strictly exceeding VaR (also called Mean Excess Loss and Expected Shortfall), CVaR−
(”lower CVaR”) is expected losses weakly exceeding VaR, i. e., expected losses which
are equal to or exceed VaR (also called Tail VaR), and CVaR is a weighted average of
VaR and CVaR+ . All these measurements, it holds VaR<CVaR− <CVaR<VaR+ .
Technically, preserved of convexity of f function: if f(x,ξ) is convex in x then

𝐶𝑉 𝑎𝑅𝐴 (𝑋) = 𝐹𝐴 (𝑋, 𝜉)

(5)
𝑀𝑖𝑛 𝐶𝑉 𝑎𝑅𝐴 (𝑋) = 𝑀𝑖𝑛𝐹𝐴 (𝑋, 𝜉)
𝑋 𝑋,𝜉

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The optimum would be:

𝐶𝑉 𝑎𝑅𝛼 (𝑋∗) = 𝐹𝛼 (𝑋∗, 𝜉∗) and f(𝑋∗, 𝜉∗)

Optimization at level α would be:

𝑀𝑖𝑛𝑔(𝑋) 𝑠.𝑡 𝐶𝑉 𝑎𝑅𝛼 (𝑋) ≤ 𝑤𝑖 ; 𝑖 = 1, 2, ⋯ , 𝐾

𝑋,𝜉

𝑜𝑟

𝑀𝑖𝑛𝑔(𝑋)
𝑋,𝜉1

𝑠𝑢𝑏𝑗𝑒𝑐𝑡 𝑡𝑜

𝐹𝛼 (𝑋, 𝜉𝑖 ) ≤ 𝑤𝑖 ; 𝑖 = 1, 2, ⋯ , 𝐾
From the optimum condition, each bank would be identified its contribution onto the
risk of the system and also the impact onto its stability if either there is a change in any
bank or an acquisition of a certain bank.

5.5. Portfolio Return

Value of Portfolio is express following:

𝑁
𝑃𝑝 = 𝑛𝑗 𝑃𝑗
∑
𝑗=1

Portfolio Rate of Return

𝑁 𝑃𝑗 𝑡 −𝑃𝑗𝑡−1
𝑃𝑝𝑡 − 𝑃𝑝𝑡−1 𝑛𝑗
= 𝑃𝑗𝑡−1
∑
𝑃𝑝𝑡−1 𝑗=1
𝑜𝑟 (6)
𝑁
• •
𝑃𝑝 = ∑ 𝑛𝑗 𝑃𝑗
𝑗=1

Data in this analysis taken from Indonesian Stock Exchange, consist of 41 banks listed
in Indonesian Stock market. Variables of interest in this study are stock prices, Volume
of transaction, and their capitalization.

6. Result and Discussion

The portfolio rate of return daily, run erratically. Its volatility is not homogenous. It could
reach 0.6% (peak) and -0.3% (bottom). Mostly vary between 0.2% and-0.25%.

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Figure 1: Rate of Return Portfolio System.

The rate of return of the portfolio of the system is as figured in above diagram (Figure
1). Return is fluctuated around zero and varying mostly between 0.2% and -0.2%. In
one case, the rate of return jumped over until 0.6% and dropped down until more than
-0.3%. The above distribution can be re-graphed in bar-chart as figure below, in terms
of return (Figure 2).

Figure 2: Return of the Portfolio.

In some case the return is as higher as 60%, but other case it losses until 30%.
CVaR of the portfolio from time to time is shown in below graph (Figure 3).
Figure 3 shows that the value of CVaR varies across time. Its depends on many factors
affected by spillover effect or contagious effect.

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Figure 3: CVaR for Portfolio in different Date.

Figure 4: Component VaR of banks in the System.

In Figure 4, the Value at Risk of the portfolio is decomposed based on the contribution
of each bank inside the system. Due to covariance among the banks, some other have
positive while other negative relationship. The contribution of banks into the value at
risk of the portfolio also have the same situation.

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As confirmed through Figure 5 and Figure 6, there are 4 banks that have negative
contribution to the portfolio: BMRI(-80,48%), PNBN(-17,35%), PNBS(-1,69%) and NAGA(-
0,48%) (see Table 1).
Other 37 banks have positive contribution to the risk of the system (see Table 2).

Figure 5: Banks reducing Component VaR.

Figure 6: Banks boosting Component VaR.

There are 37 banks that have positive contribution to systemic risk. If there is a
reduction of a bank in this group, the systemic risk will also reduce. If the asset becomes

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bigger, the systemic risk also becomes larger due to the increase the contribution of
the changing asset.
The major contribution (positive) the systemic risk are from the big 10: BBCA(47,19%),
BDMN(11,12%), BBRI(8,49%), BJBR(5,03%), MEGA(3,92%), MAYA(3,73%), BBNI(2,37%)
BTPN(1,88%), BNII(1,80%), and BBTN(1,78%).
In terms of the impact of bank behavior toward the systemic risk, the impact of all
each bank has been shown in following graph (see Figure 7).

Figure 7: Beta VaR or Marginal VaR (or 𝐶𝑉 𝑎𝑅𝑞 𝑖|𝑗 ).

The top 5 banks having big impact on systemic risk are BBRI (52,64%), BBCA (14,9%),
BMRI(13,84%), BBNI(7,01%) and NISP(5,15%). The complete figure of impact is shown in
Table 3 Beta VaR or Marginal VaR.

7. Conclusion

Banking system could be analyzed by applying Conditional value at Risk for whole
portfolio (CVaR). CVaR varies over time and depends on many factors. In accounting
approach of portfolio risk, it is contributed by risk of all its bank members in the system.
In functional approach, the systemic risk is affected by behavior of its members’ risk.
As system of banks, all members live in cohabitation and interact each other directly
or indirectly. The covariance among banks are positive or could be negative. Out or

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41 banks in the system, there are 37 banks have positive contribution to systemic risk.
If each bank from this group excluded from the system then the systemic risk will
reduce. The major contribution the systemic risk are from the big 10: BBCA(47,19%),
BDMN(11,12%), BBRI(8,49%), BJBR(5,03%), MEGA(3,92%), MAYA(3,73%),BBNI(2,37%)
BTPN(1,88%), BNII(1,80%), and BBTN(1,78%).
Other group consists of banks that have negative contribution to systemic risk. If one
bank of this group is excluded, the risk of the system will increase. There are 4 banks
that have different behavior. These banks have negative contribution to the systemic
risk. These banks are BMRI, PNBN, PNBS and NAGA. The negative impact to systemic
risk is dominated by BMRI as much as -2,76%, and by PNBN as much as -0,60%. Other
two are small.
The major banks that have contribution to systemic risk; BBCA(47,19%), BDMN(11,12%),
BBRI(8,49%), BJBR(5,03%), MEGA(3,92%), MAYA(3,73%), BBNI(2,37%).
However their impact on systemic risk are different. It is about Conditional Value
𝑖|𝑗
at Risk of each bank given others or 𝐶𝑉 𝑎𝑅𝑞 . Banks that have major impact on
systemic are BBRI (52,64%), BBCA (14,9%), BMRI(13,84%), BBNI(7,01%) and NISP(5,15%).
The impact of each bank is not necessarily linearly follow the size of the contribution
of the bank onto the systemic risk. The contribution on the systemic risk is related to
their positions or their capitalization, while the impacts are to their own behavior.

Appendix

TABLE 1: Negative Contribution to Component VaR.

No Asset CmpVaR(% of all) CmpVaR CmpVaR(% of all

negative)
1 BMRI -2,76% -3,34 -80,48%.
2 PNBN -0,60% -0,72 -17,35%
3 PNBS -0,06% -0,07 -1,69%
4 NAGA -0,02% -0,02 -0,48%

TABLE 2: Positive Contribution to Component.

Asset CmpVaR (% of all) CmpVaR CmpVaR (% of all

Positive)
BBCA 48,81% 59,01 47,19%
BDMN 11,51% 13,91 11,12%
BBRI 8,78% 10,62 8,49%
BJBR 5,20% 6,29 5,03%

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Asset CmpVaR (% of all) CmpVaR CmpVaR (% of all

Positive)
MEGA 4,05% 4,9 3,92%
MAYA 3,85% 4,66 3,73%
BBNI 2,45% 2,96 2,37%
BTPN 1,94% 2,35 1,88%
BNII 1,86% 2,25 1,80%
BBTN 1,84% 2,22 1,78%
BNGA 1,52% 1,84 1,47%
NISP 1,32% 1,6 1,28%
BSIM 1,26% 1,52 1,22%
NOBU 1,06% 1,28 1,02%
BJTM 0,84% 1,02 0,82%
SDRA 0,79% 0,95 0,76%
BBMD 0,75% 0,91 0,73%
AGRO 0,64% 0,77 0,62%
MCOR 0,64% 0,77 0,62%
AGRS 0,57% 0,69 0,55%
BINA 0,55% 0,66 0,53%
BNLI 0,49% 0,59 0,47%
BKSW 0,37% 0,45 0,36%
BBKP 0,31% 0,37 0,30%
BACA 0,26% 0,31 0,25%
BSWD 0,24% 0,29 0,23%
BBNP 0,23% 0,28 0,22%
BVIC 0,23% 0,28 0,22%
BBYB 0,21% 0,25 0,20%
BMAS 0,20% 0,24 0,19%
BBHI 0,16% 0,19 0,15%
BABP 0,14% 0,17 0,14%
BGTG 0,12% 0,15 0,12%
BNBA 0,08% 0,1 0,08%
DNAR 0,08% 0,1 0,08%
INPC 0,06% 0,07 0,06%
ARTO 0,02% 0,03 0,02%

TABLE 3: Beta VaR or Marginal VaR.

Asset Position($) BetaVar(%)

BBRI 446,93 52,94%
BBCA 634,62 14,99%
BMRI 340,72 13,92%

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Asset Position($) BetaVar(%)

BBNI 162,47 7,05%
NISP 9,54 5,27%
PNBS 1,19 1,68%
BDMN 72,11 1,42%
BBTN 26,63 1,14%
BNGA 22,77 0,41%
BNLI 17,35 0,34%
BTPN 19,89 0,23%
PNBN 27,29 0,21%
MEGA 33,09 0,13%
BJBR 19,68 0,12%
AGRO 6,55 0,12%
BJTM 10,23 0,07%
BKSW 3,15 0,05%
BNII 13,82 0,04%
MCOR 2,34 0,03%
BBKP 3,14 0,02%
BINA 3,75 0,02%
SDRA 5,54 0,02%
AGRS 1,25 0,01%
BVIC 1,63 0,01%
BBNP 1,74 0,01%
BBYB 1,46 0,01%
BGTG 0,91 0,01%
INPC 0,97 0,01%
BSIM 8,65 0,01%
BACA 2,17 0,00%
BNBA 0,64 0,00%
BABP 1,08 0,00%
BBHI 0,71 0,00%
BBMD 5,59 0,00%
BSWD 1,66 0,00%
ARTO 0,21 0,00%
NAGA 0,4 0,00%
BMAS 1,53 -0,01%
DNAR 0,7 -0,01%
NOBU 4,61 -0,01%
MAYA 43,88 -0,25%

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